“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices
Purpose The purpose of this paper is to extend the literature on the spillovers across economic policy uncertainty (EPU) and cryptocurrency uncertainty indices. Design/methodology/approach This paper uses cross-country economic poli...
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University of Economics Ho Chi Minh City
2023
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| Truy cập trực tuyến: | https://www.emerald.com/insight/content/doi/10.1108/JABES-05-2021-0051/full/html http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115460 |
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oai:scholar.dlu.edu.vn:DLU123456789-1154602023-03-08T03:56:16Z “Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices Foglia, Matteo Dai, Peng-Fei Purpose The purpose of this paper is to extend the literature on the spillovers across economic policy uncertainty (EPU) and cryptocurrency uncertainty indices. Design/methodology/approach This paper uses cross-country economic policy uncertainty indices and the novel data measuring the cryptocurrency price uncertainties over the period 2013–2021 to construct a sample of 946 observations and applies the time-varying parameter vector autoregression (TVP-VAR) model to do an empirical study. Findings The findings suggest that there are cross-country spillovers of economic policy uncertainty. In addition, the total uncertainty spillover between economic policies and cryptocurrency peaked in 2015 before gradually decreasing in the following periods. Concomitantly, the cryptocurrency uncertainty has acted as the “receiver.” More importantly, the authors found the predictive power of economic policy uncertainty to predict the cryptocurrency uncertainty index. This paper’s results hold robust when using alternative measurement of cryptocurrency policy uncertainty. Originality/value This study is the first research that deeply investigates the association between two uncertainty indicators, namely economic policy uncertainty and the cryptocurrency uncertainty index. We provide fresh evidence about the dynamic connectedness between country-level economic policy uncertainty and the cryptocurrency index. Our work contributes a new channel driving the variants of uncertainties in the cryptocurrency market. 2023-03-08T03:56:16Z 2023-03-08T03:56:16Z 2022 Article 2515-964X https://www.emerald.com/insight/content/doi/10.1108/JABES-05-2021-0051/full/html http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115460 10.1108/JABES-05-2021-0051 en Journal of Asian Business and Economic Studies, Volume 29, Issue 1; p. 35-49 application/pdf University of Economics Ho Chi Minh City |
| institution |
Thư viện Trường Đại học Đà Lạt |
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Thư viện số |
| language |
English |
| description |
Purpose The purpose of this paper is to extend the literature on the spillovers across economic policy uncertainty (EPU) and cryptocurrency uncertainty indices. Design/methodology/approach This paper uses cross-country economic policy uncertainty indices and the novel data measuring the cryptocurrency price uncertainties over the period 2013–2021 to construct a sample of 946 observations and applies the time-varying parameter vector autoregression (TVP-VAR) model to do an empirical study. Findings The findings suggest that there are cross-country spillovers of economic policy uncertainty. In addition, the total uncertainty spillover between economic policies and cryptocurrency peaked in 2015 before gradually decreasing in the following periods. Concomitantly, the cryptocurrency uncertainty has acted as the “receiver.” More importantly, the authors found the predictive power of economic policy uncertainty to predict the cryptocurrency uncertainty index. This paper’s results hold robust when using alternative measurement of cryptocurrency policy uncertainty. Originality/value This study is the first research that deeply investigates the association between two uncertainty indicators, namely economic policy uncertainty and the cryptocurrency uncertainty index. We provide fresh evidence about the dynamic connectedness between country-level economic policy uncertainty and the cryptocurrency index. Our work contributes a new channel driving the variants of uncertainties in the cryptocurrency market. |
| format |
Article |
| author |
Foglia, Matteo Dai, Peng-Fei |
| spellingShingle |
Foglia, Matteo Dai, Peng-Fei “Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices |
| author_facet |
Foglia, Matteo Dai, Peng-Fei |
| author_sort |
Foglia, Matteo |
| title |
“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices |
| title_short |
“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices |
| title_full |
“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices |
| title_fullStr |
“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices |
| title_full_unstemmed |
“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices |
| title_sort |
“ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices |
| publisher |
University of Economics Ho Chi Minh City |
| publishDate |
2023 |
| url |
https://www.emerald.com/insight/content/doi/10.1108/JABES-05-2021-0051/full/html http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115460 |
| _version_ |
1765278523954561024 |